Guerbyenne, Hafida; Hamdi, Fayçal; Hamrat, Malika The \(\log\) GARCH stochastic volatility model. (English) Zbl 07913921 Stat. Probab. Lett. 214, Article ID 110185, 5 p. (2024). MSC: 62P05 91B84 PDFBibTeX XMLCite \textit{H. Guerbyenne} et al., Stat. Probab. Lett. 214, Article ID 110185, 5 p. (2024; Zbl 07913921) Full Text: DOI
Koch, Erwan Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses. (English) Zbl 07909810 Extremes 27, No. 3, 315-356 (2024). MSC: 60G60 60G70 62H10 62H11 62H20 62P05 62P12 PDFBibTeX XMLCite \textit{E. Koch}, Extremes 27, No. 3, 315--356 (2024; Zbl 07909810) Full Text: DOI arXiv OA License
van Dorp, Johan René; Shittu, Ekundayo Two-sided distributions with applications in insurance loss modeling. (English) Zbl 07905233 Stat. Methods Appl. 33, No. 3, 827-861 (2024). MSC: 62E99 62P05 PDFBibTeX XMLCite \textit{J. R. van Dorp} and \textit{E. Shittu}, Stat. Methods Appl. 33, No. 3, 827--861 (2024; Zbl 07905233) Full Text: DOI
Yılmaz, Fikriye; Öz Bakan, Hacer; Weber, Gerhard-Wilhelm Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems. (English) Zbl 07904938 J. Optim. Theory Appl. 202, No. 1, 497-517 (2024). Reviewer: Alain Brillard (Riedisheim) MSC: 49J55 49K99 62P05 37A50 PDFBibTeX XMLCite \textit{F. Yılmaz} et al., J. Optim. Theory Appl. 202, No. 1, 497--517 (2024; Zbl 07904938) Full Text: DOI
Hu, Xuemei; Pan, Ying; Li, Xiang Semi-varying coefficient panel data model with technical indicators predicts stock returns in financial market. (English) Zbl 07903375 J. Syst. Sci. Complex. 37, No. 4, 1638-1652 (2024). MSC: 91G15 62P05 PDFBibTeX XMLCite \textit{X. Hu} et al., J. Syst. Sci. Complex. 37, No. 4, 1638--1652 (2024; Zbl 07903375) Full Text: DOI
Bai, Wei; Zhang, Junting; Liu, Haifei; Liu, Kai How to construct a lower risk FOF based on correlation network? The method of principal component risk parity asset allocation. (English) Zbl 07903347 J. Syst. Sci. Complex. 37, No. 3, 1052-1079 (2024). MSC: 91G10 62P05 62H25 PDFBibTeX XMLCite \textit{W. Bai} et al., J. Syst. Sci. Complex. 37, No. 3, 1052--1079 (2024; Zbl 07903347) Full Text: DOI
Liu, Xijun; Gao, Qingwu; Kan, Linmin Uniform asymptotics for a renewal risk model with a random number of delayed claims. (English) Zbl 07901709 J. Ind. Manag. Optim. 20, No. 11, 3415-3431 (2024). MSC: 62E20 62P05 91G05 PDFBibTeX XMLCite \textit{X. Liu} et al., J. Ind. Manag. Optim. 20, No. 11, 3415--3431 (2024; Zbl 07901709) Full Text: DOI
Ratibenyakool, Yuttana; Neammanee, Kritsana Rate of convergence of trinomial formula to Black-Scholes formula. (English) Zbl 07898551 Stat. Probab. Lett. 213, Article ID 110167, 8 p. (2024). MSC: 60F05 62P05 PDFBibTeX XMLCite \textit{Y. Ratibenyakool} and \textit{K. Neammanee}, Stat. Probab. Lett. 213, Article ID 110167, 8 p. (2024; Zbl 07898551) Full Text: DOI
Turcotte, Roxane; Boucher, Jean-Philippe GAMLSS for longitudinal multivariate claim count models. (English) Zbl 07892294 N. Am. Actuar. J. 28, No. 2, 337-360 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{R. Turcotte} and \textit{J.-P. Boucher}, N. Am. Actuar. J. 28, No. 2, 337--360 (2024; Zbl 07892294) Full Text: DOI
Espinosa, Oscar; Bejarano, Valeria; Ramos, Jeferson Predictability and financial sufficiency of health insurance in Colombia: an actuarial analysis with a Bayesian approach. (English) Zbl 07892293 N. Am. Actuar. J. 28, No. 2, 320-336 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{O. Espinosa} et al., N. Am. Actuar. J. 28, No. 2, 320--336 (2024; Zbl 07892293) Full Text: DOI
Mu, Wanrong; Chiu, Sung Nok; Wang, Guojing Pricing CDS index tranches under thinning-dependence structure with regime switching. (English) Zbl 07890911 J. Comput. Appl. Math. 451, Article ID 116080, 21 p. (2024). MSC: 91G20 91G40 62P05 62H05 PDFBibTeX XMLCite \textit{W. Mu} et al., J. Comput. Appl. Math. 451, Article ID 116080, 21 p. (2024; Zbl 07890911) Full Text: DOI
Xu, Yongdeng Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation. (English) Zbl 07890160 J. Time Ser. Econom. 16, No. 1, 1-27 (2024). MSC: 62M10 62F12 62P05 PDFBibTeX XMLCite \textit{Y. Xu}, J. Time Ser. Econom. 16, No. 1, 1--27 (2024; Zbl 07890160) Full Text: DOI
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, Antoine Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles. (English) Zbl 07889756 Stat. Comput. 34, No. 4, Paper No. 130, 73 p. (2024). MSC: 62-08 62G32 62E20 62P05 PDFBibTeX XMLCite \textit{A. Daouia} et al., Stat. Comput. 34, No. 4, Paper No. 130, 73 p. (2024; Zbl 07889756) Full Text: DOI
Guesmia, Nour Elhouda; Meraghni, Djamel; Soltane, Louiza Estimating the conditional tail expectation of randomly right-censored heavy-tailed data. (English) Zbl 07889741 J. Stat. Theory Pract. 18, No. 3, Paper No. 30, 36 p. (2024). MSC: 62G32 62N02 62P05 PDFBibTeX XMLCite \textit{N. E. Guesmia} et al., J. Stat. Theory Pract. 18, No. 3, Paper No. 30, 36 p. (2024; Zbl 07889741) Full Text: DOI
Li, Jinzhu Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return. (English) Zbl 07887788 Commun. Stat., Theory Methods 53, No. 16, 5773-5784 (2024). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{J. Li}, Commun. Stat., Theory Methods 53, No. 16, 5773--5784 (2024; Zbl 07887788) Full Text: DOI
Düker, Marie-Christine; Jeong, Seok-Oh; Lee, Taewook; Baek, Changryong Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence. (English) Zbl 07887521 Stat. Pap. 65, No. 4, 2327-2359 (2024). MSC: 62M10 62G10 62H15 62P05 PDFBibTeX XMLCite \textit{M.-C. Düker} et al., Stat. Pap. 65, No. 4, 2327--2359 (2024; Zbl 07887521) Full Text: DOI
Araya, Hailabe T.; Aduda, Jane; Berhane, Tesfahun A hybrid GARCH and deep learning method for volatility prediction. (English) Zbl 07886149 J. Appl. Math. 2024, Article ID 6305525, 19 p. (2024). MSC: 62P05 62M10 PDFBibTeX XMLCite \textit{H. T. Araya} et al., J. Appl. Math. 2024, Article ID 6305525, 19 p. (2024; Zbl 07886149) Full Text: DOI OA License
Liang, Jufang; Yang, Dan; Han, Qian Tail risk aversion and backwardation of index futures. (English) Zbl 07885175 Quant. Finance 24, No. 3-4, 387-407 (2024). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 91G70 62P05 PDFBibTeX XMLCite \textit{J. Liang} et al., Quant. Finance 24, No. 3--4, 387--407 (2024; Zbl 07885175) Full Text: DOI
Li, Zhengxiao; Wang, Fei; Zhao, Zhengtang A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data. (English) Zbl 07882274 Insur. Math. Econ. 117, 45-66 (2024). MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{Z. Li} et al., Insur. Math. Econ. 117, 45--66 (2024; Zbl 07882274) Full Text: DOI arXiv
Li, Pingyun; Yin, Chuancun The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution. (English) Zbl 07878298 J. Comput. Appl. Math. 448, Article ID 115965, 19 p. (2024). MSC: 91G50 62P05 62H10 PDFBibTeX XMLCite \textit{P. Li} and \textit{C. Yin}, J. Comput. Appl. Math. 448, Article ID 115965, 19 p. (2024; Zbl 07878298) Full Text: DOI
Joseph, Sobin; Jain, Shashi A neural network based model for multi-dimensional non-linear Hawkes processes. (English) Zbl 1540.60089 J. Comput. Appl. Math. 447, Article ID 115889, 23 p. (2024). MSC: 60G55 62G07 62P05 PDFBibTeX XMLCite \textit{S. Joseph} and \textit{S. Jain}, J. Comput. Appl. Math. 447, Article ID 115889, 23 p. (2024; Zbl 1540.60089) Full Text: DOI arXiv
Lai, Yi-Hao; Wang, Yi-Chiuan; Chang, Yu-Ching Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach. (English) Zbl 07872893 Asia-Pac. Financ. Mark. 31, No. 2, 285-305 (2024). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{Y.-H. Lai} et al., Asia-Pac. Financ. Mark. 31, No. 2, 285--305 (2024; Zbl 07872893) Full Text: DOI
Ghani, Maria; Ghani, Usman Economic policy uncertainty and emerging stock market volatility. (English) Zbl 07872888 Asia-Pac. Financ. Mark. 31, No. 1, 165-181 (2024). MSC: 91G15 62P05 PDFBibTeX XMLCite \textit{M. Ghani} and \textit{U. Ghani}, Asia-Pac. Financ. Mark. 31, No. 1, 165--181 (2024; Zbl 07872888) Full Text: DOI
Goegebeur, Yuri; Guillou, Armelle; Qin, Jing Conditional tail moment and reinsurance premium estimation under random right censoring. (English) Zbl 07866912 Test 33, No. 1, 230-250 (2024). MSC: 62G32 62E20 62G30 62N01 62P05 PDFBibTeX XMLCite \textit{Y. Goegebeur} et al., Test 33, No. 1, 230--250 (2024; Zbl 07866912) Full Text: DOI OA License
Cui, Bing; Najafi, Alireza Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint. (English) Zbl 07866539 J. Comput. Appl. Math. 445, Article ID 115837, 16 p. (2024). MSC: 91G20 60G22 62P05 PDFBibTeX XMLCite \textit{B. Cui} and \textit{A. Najafi}, J. Comput. Appl. Math. 445, Article ID 115837, 16 p. (2024; Zbl 07866539) Full Text: DOI
Chadjiconstantinidis, Stathis; Xenos, Panos Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion. (English) Zbl 07866537 J. Comput. Appl. Math. 445, Article ID 115835, 27 p. (2024). MSC: 62P05 91G05 60K25 PDFBibTeX XMLCite \textit{S. Chadjiconstantinidis} and \textit{P. Xenos}, J. Comput. Appl. Math. 445, Article ID 115835, 27 p. (2024; Zbl 07866537) Full Text: DOI
Andrès, Hervé; Boumezoued, Alexandre; Jourdain, Benjamin Signature-based validation of real-world economic scenarios. (English) Zbl 07866382 ASTIN Bull. 54, No. 2, 410-440 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{H. Andrès} et al., ASTIN Bull. 54, No. 2, 410--440 (2024; Zbl 07866382) Full Text: DOI arXiv
Duval, Francis; Boucher, Jean-Philippe; Pigeon, Mathieu Telematics combined actuarial neural networks for cross-sectional and longitudinal claim count data. (English) Zbl 07866375 ASTIN Bull. 54, No. 2, 239-262 (2024). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 68T07 62P05 PDFBibTeX XMLCite \textit{F. Duval} et al., ASTIN Bull. 54, No. 2, 239--262 (2024; Zbl 07866375) Full Text: DOI arXiv OA License
Kwon, Dream; Lee, Oesook The functional central limit theorem for Markov-switching GARCH model. (English) Zbl 07864975 Econ. Lett. 238, Article ID 111728, 5 p. (2024). MSC: 62P05 62M10 60F05 PDFBibTeX XMLCite \textit{D. Kwon} and \textit{O. Lee}, Econ. Lett. 238, Article ID 111728, 5 p. (2024; Zbl 07864975) Full Text: DOI
Yu, Xisheng Nonparametric estimation of quadratic variation using high-frequency data. (English) Zbl 07861184 Math. Methods Appl. Sci. 47, No. 5, 3053-3078 (2024). MSC: 62G05 60H05 62P05 PDFBibTeX XMLCite \textit{X. Yu}, Math. Methods Appl. Sci. 47, No. 5, 3053--3078 (2024; Zbl 07861184) Full Text: DOI
Cerda-Hernández, Jose Javier; Logachov, Artem; Yambartsev, Anatoly Bid-ask spread dynamics: large upward jump with geometric catastrophes. (English) Zbl 1537.91296 RAIRO, Oper. Res. 58, No. 2, 1375-1399 (2024). MSC: 91G15 62P05 60J28 60F05 60F10 PDFBibTeX XMLCite \textit{J. J. Cerda-Hernández} et al., RAIRO, Oper. Res. 58, No. 2, 1375--1399 (2024; Zbl 1537.91296) Full Text: DOI
Yang, Ruonan; Peng, Jiangyan; Zou, Lei Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion. (English) Zbl 1539.62313 Stochastics 96, No. 1, 728-765 (2024). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{R. Yang} et al., Stochastics 96, No. 1, 728--765 (2024; Zbl 1539.62313) Full Text: DOI
Wang, Hongxia; Su, Qi; Yang, Yang Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses. (English) Zbl 1539.62311 Stochastics 96, No. 1, 667-695 (2024). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{H. Wang} et al., Stochastics 96, No. 1, 667--695 (2024; Zbl 1539.62311) Full Text: DOI
Avanzi, Benjamin; Lavender, Mark; Taylor, Greg; Wong, Bernard On the impact of outliers in loss reserving. (English) Zbl 1539.91111 Eur. Actuar. J. 14, No. 1, 257-296 (2024). MSC: 91G05 35Q91 62P05 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Eur. Actuar. J. 14, No. 1, 257--296 (2024; Zbl 1539.91111) Full Text: DOI arXiv OA License
Chen, Zezhun; Dassios, Angelos; Tzougas, George EM estimation for bivariate mixed Poisson INAR(1) claim count regression models with correlated random effects. (English) Zbl 1537.91242 Eur. Actuar. J. 14, No. 1, 225-255 (2024). MSC: 91G05 62P05 62H05 PDFBibTeX XMLCite \textit{Z. Chen} et al., Eur. Actuar. J. 14, No. 1, 225--255 (2024; Zbl 1537.91242) Full Text: DOI OA License
Rosenbaum, Mathieu; Zhang, Jianfei On the universality of the volatility formation process: when machine learning and rough volatility agree. (English) Zbl 1537.91304 Front. Math. Finance 3, No. 1, 106-126 (2024). MSC: 91G15 60G22 62P05 68T07 PDFBibTeX XMLCite \textit{M. Rosenbaum} and \textit{J. Zhang}, Front. Math. Finance 3, No. 1, 106--126 (2024; Zbl 1537.91304) Full Text: DOI arXiv
Bernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven Implied value-at-risk and model-free simulation. (English) Zbl 1537.91309 Ann. Oper. Res. 336, No. 1-2, 925-943 (2024). MSC: 91G20 91G70 62P05 62G08 PDFBibTeX XMLCite \textit{C. Bernard} et al., Ann. Oper. Res. 336, No. 1--2, 925--943 (2024; Zbl 1537.91309) Full Text: DOI
Caliciotti, Andrea; Corazza, Marco; Fasano, Giovanni From regression models to machine learning approaches for long term bitcoin price forecast. (English) Zbl 1537.91365 Ann. Oper. Res. 336, No. 1-2, 359-381 (2024). MSC: 91G99 62P05 62F40 PDFBibTeX XMLCite \textit{A. Caliciotti} et al., Ann. Oper. Res. 336, No. 1--2, 359--381 (2024; Zbl 1537.91365) Full Text: DOI
Berton, Edoardo; Mercuri, Lorenzo An efficient unified approach for spread option pricing in a copula market model. (English) Zbl 1537.91310 Ann. Oper. Res. 336, No. 1-2, 307-329 (2024). MSC: 91G20 62P05 62H05 91G60 PDFBibTeX XMLCite \textit{E. Berton} and \textit{L. Mercuri}, Ann. Oper. Res. 336, No. 1--2, 307--329 (2024; Zbl 1537.91310) Full Text: DOI arXiv
Kan, Raymond; Lassance, Nathan; Wang, Xiaolu The distribution of sample mean-variance portfolio weights. (English) Zbl 1539.62310 Random Matrices Theory Appl. 13, No. 1, Article ID 2450002, 20 p. (2024). MSC: 62P05 62E15 62E20 62H10 62H12 91G10 PDFBibTeX XMLCite \textit{R. Kan} et al., Random Matrices Theory Appl. 13, No. 1, Article ID 2450002, 20 p. (2024; Zbl 1539.62310) Full Text: DOI
Poudyal, Chudamani; Zhao, Qian; Brazauskas, Vytaras Method of winsorized moments for robust fitting of truncated and censored lognormal distributions. (English) Zbl 1537.91265 N. Am. Actuar. J. 28, No. 1, 236-260 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{C. Poudyal} et al., N. Am. Actuar. J. 28, No. 1, 236--260 (2024; Zbl 1537.91265) Full Text: DOI arXiv
Liu, Yang; Chen, Zhenlong; Fu, Ke-Ang Asymptotics for the random time ruin probability with non stationary arrivals and Brownian perturbation. (English) Zbl 07859010 Commun. Stat., Theory Methods 53, No. 9, 3337-3349 (2024). MSC: 62P05 PDFBibTeX XMLCite \textit{Y. Liu} et al., Commun. Stat., Theory Methods 53, No. 9, 3337--3349 (2024; Zbl 07859010) Full Text: DOI
Liu, Yonghui; Lin, Yichen; Song, Xin; Liu, Conan; Liu, Shuangzhe Nonnegative group bridge and application in financial index tracking. (English) Zbl 07858984 Stat. Pap. 65, No. 2, 887-907 (2024). MSC: 62P05 62J07 62F12 PDFBibTeX XMLCite \textit{Y. Liu} et al., Stat. Pap. 65, No. 2, 887--907 (2024; Zbl 07858984) Full Text: DOI
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, Antoine An expectile computation cookbook. (English) Zbl 1539.62017 Stat. Comput. 34, No. 3, Paper No. 103, 37 p. (2024). MSC: 62-08 62P05 PDFBibTeX XMLCite \textit{A. Daouia} et al., Stat. Comput. 34, No. 3, Paper No. 103, 37 p. (2024; Zbl 1539.62017) Full Text: DOI
Hodoshima, Jiro The Aumann-Serrano performance index of Dow 30 components and Dow Jones industrial average before and after the global financial crisis. (English) Zbl 07856813 Far East J. Theor. Stat. 68, No. 1, 53-79 (2024). MSC: 62P05 62P20 91B05 PDFBibTeX XMLCite \textit{J. Hodoshima}, Far East J. Theor. Stat. 68, No. 1, 53--79 (2024; Zbl 07856813) Full Text: DOI
Jimenez, Martin; Salhi, Yahia A semi-supervised learning approach for variance reduction in life insurance. (English) Zbl 1539.91113 Ann. Oper. Res. 334, No. 1-3, 157-184 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{M. Jimenez} and \textit{Y. Salhi}, Ann. Oper. Res. 334, No. 1--3, 157--184 (2024; Zbl 1539.91113) Full Text: DOI
Muhle-Karbe, Johannes Book review of: K. T. Webster, Handbook of price impact modeling. (English) Zbl 07855696 Quant. Finance 24, No. 2, 201-202 (2024). MSC: 00A17 91-01 91G15 91G10 91G70 60H05 62P05 PDFBibTeX XMLCite \textit{J. Muhle-Karbe}, Quant. Finance 24, No. 2, 201--202 (2024; Zbl 07855696) Full Text: DOI
Corsaro, Stefania; Marino, Zelda; Scognamiglio, Salvatore Quantile mortality modelling of multiple populations via neural networks. (English) Zbl 1537.91243 Insur. Math. Econ. 116, 114-133 (2024). MSC: 91G05 62P05 68T07 PDFBibTeX XMLCite \textit{S. Corsaro} et al., Insur. Math. Econ. 116, 114--133 (2024; Zbl 1537.91243) Full Text: DOI
Bignozzi, Valeria; Merlo, Luca; Petrella, Lea Inter-order relations between equivalence for \(L_p\)-quantiles of the Student’s \(t\) distribution. (English) Zbl 1537.91238 Insur. Math. Econ. 116, 44-50 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{V. Bignozzi} et al., Insur. Math. Econ. 116, 44--50 (2024; Zbl 1537.91238) Full Text: DOI
Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit A Hawkes model with CARMA(p,q) intensity. (English) Zbl 07852741 Insur. Math. Econ. 116, 1-26 (2024). Reviewer: Hanspeter Schmidli (Köln) MSC: 60G55 62M05 62P05 91G99 PDFBibTeX XMLCite \textit{L. Mercuri} et al., Insur. Math. Econ. 116, 1--26 (2024; Zbl 07852741) Full Text: DOI arXiv
Liu, Zai-ming; Geng, Bing-zhen; Wang, Shi-jie Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims. (English) Zbl 07852117 Appl. Math., Ser. B (Engl. Ed.) 39, No. 1, 98-113 (2024). MSC: 62P05 62E10 PDFBibTeX XMLCite \textit{Z.-m. Liu} et al., Appl. Math., Ser. B (Engl. Ed.) 39, No. 1, 98--113 (2024; Zbl 07852117) Full Text: DOI
Yang, Peng Optimal reinsurance-investment problem for two competitive or cooperative insurers under two investment patterns. (English) Zbl 07850721 Commun. Stat., Theory Methods 53, No. 8, 3005-3039 (2024). MSC: 62P05 91B28 93E20 PDFBibTeX XMLCite \textit{P. Yang}, Commun. Stat., Theory Methods 53, No. 8, 3005--3039 (2024; Zbl 07850721) Full Text: DOI
Wang, Xuanci; Zhang, Bin Target selection in shrinkage estimation of covariance matrix: a structural similarity approach. (English) Zbl 07850492 Stat. Probab. Lett. 208, Article ID 110048, 8 p. (2024). MSC: 62H12 62H15 62J10 62P05 PDFBibTeX XMLCite \textit{X. Wang} and \textit{B. Zhang}, Stat. Probab. Lett. 208, Article ID 110048, 8 p. (2024; Zbl 07850492) Full Text: DOI
Li, Mingjun; Chen, Zhangting; Cheng, Dongya; Zhou, Junyi Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns. (English) Zbl 1537.91260 Stat. Probab. Lett. 207, Article ID 110013, 11 p. (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{M. Li} et al., Stat. Probab. Lett. 207, Article ID 110013, 11 p. (2024; Zbl 1537.91260) Full Text: DOI
Takabatake, Tetsuya Quasi-likelihood analysis of fractional Brownian motion with constant drift under high-frequency observations. (English) Zbl 1537.62037 Stat. Probab. Lett. 207, Article ID 110006, 10 p. (2024). MSC: 62M09 60G22 62F12 62M15 62P05 PDFBibTeX XMLCite \textit{T. Takabatake}, Stat. Probab. Lett. 207, Article ID 110006, 10 p. (2024; Zbl 1537.62037) Full Text: DOI arXiv
Zlatniczki, Adam; Telcs, Andras Application of portfolio optimization to achieve persistent time series. (English) Zbl 07846607 J. Optim. Theory Appl. 201, No. 2, 932-954 (2024). MSC: 60H30 62P05 90C90 PDFBibTeX XMLCite \textit{A. Zlatniczki} and \textit{A. Telcs}, J. Optim. Theory Appl. 201, No. 2, 932--954 (2024; Zbl 07846607) Full Text: DOI OA License
Yang, Yueli; Geng, Bingzhen; Wang, Shijie On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims. (English) Zbl 07843816 Japan J. Ind. Appl. Math. 41, No. 2, 1189-1205 (2024). MSC: 62P05 60K10 62E10 91B05 PDFBibTeX XMLCite \textit{Y. Yang} et al., Japan J. Ind. Appl. Math. 41, No. 2, 1189--1205 (2024; Zbl 07843816) Full Text: DOI
Yang, Yipeng Long-range dependence and rational Gaussian noise. (English) Zbl 07842736 Statistics 58, No. 2, 364-382 (2024). MSC: 62-08 62E10 62M10 62P05 PDFBibTeX XMLCite \textit{Y. Yang}, Statistics 58, No. 2, 364--382 (2024; Zbl 07842736) Full Text: DOI
Jokiel-Rokita, Alicja; Piątek, Sylwester Estimation of parameters and quantiles of the Weibull distribution. (English) Zbl 1536.62011 Stat. Pap. 65, No. 1, 1-18 (2024). MSC: 62-08 62F10 62N05 62P05 PDFBibTeX XMLCite \textit{A. Jokiel-Rokita} and \textit{S. Piątek}, Stat. Pap. 65, No. 1, 1--18 (2024; Zbl 1536.62011) Full Text: DOI OA License
Mahdi, Esam New mixed portmanteau tests for time series models. (English) Zbl 1536.62015 Stat. Comput. 34, No. 2, Paper No. 76, 15 p. (2024). MSC: 62-08 62M07 62M10 62P05 PDFBibTeX XMLCite \textit{E. Mahdi}, Stat. Comput. 34, No. 2, Paper No. 76, 15 p. (2024; Zbl 1536.62015) Full Text: DOI arXiv
Foroni, Beatrice; Merlo, Luca; Petrella, Lea Expectile hidden Markov regression models for analyzing cryptocurrency returns. (English) Zbl 1536.62007 Stat. Comput. 34, No. 2, Paper No. 66, 12 p. (2024). MSC: 62-08 62M05 62M10 62P05 PDFBibTeX XMLCite \textit{B. Foroni} et al., Stat. Comput. 34, No. 2, Paper No. 66, 12 p. (2024; Zbl 1536.62007) Full Text: DOI arXiv
Cont, Rama; Das, Purba Rough volatility: fact or artefact? (English) Zbl 07839706 Sankhyā, Ser. B 86, No. 1, 191-223 (2024). MSC: 62P05 62M07 PDFBibTeX XMLCite \textit{R. Cont} and \textit{P. Das}, Sankhyā, Ser. B 86, No. 1, 191--223 (2024; Zbl 07839706) Full Text: DOI arXiv OA License
Tzagkarakis, George; Maurer, Frantz; Nolan, John P. Taming impulsive high-frequency data using optimal sampling periods. (English) Zbl 1536.91325 Ann. Oper. Res. 333, No. 1, 393-415 (2024). MSC: 91G15 62P05 62D05 PDFBibTeX XMLCite \textit{G. Tzagkarakis} et al., Ann. Oper. Res. 333, No. 1, 393--415 (2024; Zbl 1536.91325) Full Text: DOI OA License
Mamatzakis, Emmanuel; Patel, Pankaj C.; Tsionas, Mike G. A Bayesian learning model of hedge fund performance. (English) Zbl 1535.91029 Ann. Oper. Res. 333, No. 1, 201-238 (2024). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{E. Mamatzakis} et al., Ann. Oper. Res. 333, No. 1, 201--238 (2024; Zbl 1535.91029) Full Text: DOI
Cai, Xiaorong; Lin, Feng; Yang, Jingping Bilateral credit valuation adjustment of CDS under systemic and correlated Idiosyncratic risks. (English) Zbl 1536.91330 Front. Math. (Beijing) 19, No. 2, 335-384 (2024). MSC: 91G20 91G40 91G45 62P05 PDFBibTeX XMLCite \textit{X. Cai} et al., Front. Math. (Beijing) 19, No. 2, 335--384 (2024; Zbl 1536.91330) Full Text: DOI
Xu, Chenghao; Wang, Kaiyong; Wu, Xinyi The finite-time ruin probability of a risk model with stochastic return and subexponential claim sizes. (English) Zbl 07833924 Commun. Stat., Theory Methods 53, No. 6, 2194-2204 (2024). MSC: 62P05 62E10 91B30 PDFBibTeX XMLCite \textit{C. Xu} et al., Commun. Stat., Theory Methods 53, No. 6, 2194--2204 (2024; Zbl 07833924) Full Text: DOI
Roozegar, Rasool; Toghdori, Abdolsaleh; Nadarajah, Saralees The distribution of the sum of two dependent randomly weighted random variables with applications. (English) Zbl 07833913 Commun. Stat., Theory Methods 53, No. 6, 1985-2002 (2024). MSC: 62E10 60E05 62P05 PDFBibTeX XMLCite \textit{R. Roozegar} et al., Commun. Stat., Theory Methods 53, No. 6, 1985--2002 (2024; Zbl 07833913) Full Text: DOI
Geng, Bingzhen; Liu, Zaiming; Wang, Shijie On tail behavior of randomly weighted sums of dependent subexponential random variables. (English) Zbl 07833894 Commun. Stat., Theory Methods 53, No. 5, 1653-1668 (2024). MSC: 62P05 60E05 PDFBibTeX XMLCite \textit{B. Geng} et al., Commun. Stat., Theory Methods 53, No. 5, 1653--1668 (2024; Zbl 07833894) Full Text: DOI
Zhang, Ziqing Multi-regime foreign exchange rate model: calibration and pricing. (English) Zbl 1540.91079 Math. Comput. Simul. 220, 204-218 (2024). MSC: 91G20 91B70 62P05 PDFBibTeX XMLCite \textit{Z. Zhang}, Math. Comput. Simul. 220, 204--218 (2024; Zbl 1540.91079) Full Text: DOI
Arai, Takuji; Imai, Yuto Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. (English) Zbl 1540.91066 Math. Comput. Simul. 218, 223-234 (2024). MSC: 91G20 62P05 60G51 65C05 91G60 PDFBibTeX XMLCite \textit{T. Arai} and \textit{Y. Imai}, Math. Comput. Simul. 218, 223--234 (2024; Zbl 1540.91066) Full Text: DOI arXiv
He, Li; Li, William; Song, Difan; Yang, Min A systematic view of information-based optimal subdata selection: algorithm development, performance evaluation, and application in financial data. (English) Zbl 1535.62045 Stat. Sin. 34, No. 2, 611-636 (2024). MSC: 62K05 62J12 62J05 62P05 PDFBibTeX XMLCite \textit{L. He} et al., Stat. Sin. 34, No. 2, 611--636 (2024; Zbl 1535.62045) Full Text: DOI
Ye, Wuyi; Gao, Lingbo; Liu, Xiaoquan Bubbles and dependence between international equity markets. (English) Zbl 1536.91343 Quant. Finance 24, No. 1, 119-138 (2024). MSC: 91G45 62P05 62H05 PDFBibTeX XMLCite \textit{W. Ye} et al., Quant. Finance 24, No. 1, 119--138 (2024; Zbl 1536.91343) Full Text: DOI
Mohamed, Heba Soltan; Cordeiro, Gauss M.; Minkah, R.; Yousof, Haitham M.; Ibrahim, Mohamed A size-of-loss model for the negatively skewed insurance claims data: applications, risk analysis using different methods and statistical forecasting. (English) Zbl 07831701 J. Appl. Stat. 51, No. 2, 348-369 (2024). MSC: 62-XX 60E05 62H05 62E10 62F10 62F15 62P05 PDFBibTeX XMLCite \textit{H. S. Mohamed} et al., J. Appl. Stat. 51, No. 2, 348--369 (2024; Zbl 07831701) Full Text: DOI
Yang, Yang; Fan, Yahui; Chuen Yuen, Kam Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors. (English) Zbl 1536.91292 Scand. Actuar. J. 2024, No. 4, 361-382 (2024). MSC: 91G05 62P05 62E10 PDFBibTeX XMLCite \textit{Y. Yang} et al., Scand. Actuar. J. 2024, No. 4, 361--382 (2024; Zbl 1536.91292) Full Text: DOI
Plečko, Drago; Bareinboim, Elias Causal fairness analysis: a causal toolkit for fair machine learning. (English) Zbl 1536.68018 Found. Trends Mach. Learn. 17, No. 3, 304-589 (2024). MSC: 68T05 68-02 62P10 62P05 62G05 62J02 PDFBibTeX XMLCite \textit{D. Plečko} and \textit{E. Bareinboim}, Found. Trends Mach. Learn. 17, No. 3, 304--589 (2024; Zbl 1536.68018) Full Text: DOI
Niknami, Behrooz Stochastic matching models. (Abstract of thesis). (English) Zbl 1534.60003 Bull. Aust. Math. Soc. 109, No. 2, 407-408 (2024). MSC: 60-02 60K30 62P05 62P20 PDFBibTeX XMLCite \textit{B. Niknami}, Bull. Aust. Math. Soc. 109, No. 2, 407--408 (2024; Zbl 1534.60003) Full Text: DOI
Shen, Tingting; Tao, Zhifu; Chen, Huayou Exploring long-memory process in the prediction of interval-valued financial time series and its application. (English) Zbl 1533.91454 J. Syst. Sci. Complex. 37, No. 2, 759-775 (2024). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{T. Shen} et al., J. Syst. Sci. Complex. 37, No. 2, 759--775 (2024; Zbl 1533.91454) Full Text: DOI
Ansari, Jonathan; Rüschendorf, Ludger Supermodular and directionally convex comparison results for general factor models. (English) Zbl 07823261 J. Multivariate Anal. 201, Article ID 105264, 20 p. (2024). MSC: 62Hxx 60E15 62H05 62P05 PDFBibTeX XMLCite \textit{J. Ansari} and \textit{L. Rüschendorf}, J. Multivariate Anal. 201, Article ID 105264, 20 p. (2024; Zbl 07823261) Full Text: DOI OA License
Protter, Philip E.; Wu, Qianfan; Yang, Shihao Order book queue Hawkes Markovian modeling. (English) Zbl 07822811 SIAM J. Financ. Math. 15, No. 1, 1-25 (2024). MSC: 62P05 60G55 62J07 91G70 PDFBibTeX XMLCite \textit{P. E. Protter} et al., SIAM J. Financ. Math. 15, No. 1, 1--25 (2024; Zbl 07822811) Full Text: DOI arXiv
Steinmetz, Julia; Jentsch, Carsten Bootstrap consistency for the Mack bootstrap. (English) Zbl 1533.91425 Insur. Math. Econ. 115, 83-121 (2024). MSC: 91G05 62P05 62F40 PDFBibTeX XMLCite \textit{J. Steinmetz} and \textit{C. Jentsch}, Insur. Math. Econ. 115, 83--121 (2024; Zbl 1533.91425) Full Text: DOI arXiv OA License
Klein, Maximilian Nested simulations: theory and application. (English) Zbl 1534.91006 Mathematische Optimierung und Wirtschaftsmathematik/Mathematical Optimization and Economathematics. Wiesbaden: Springer Spektrum; Augsburg: Univ. Augsburg (Diss. 2023) (ISBN 978-3-658-43852-4/pbk; 978-3-658-43853-1/ebook). xvii, 137 p. (2024). MSC: 91-02 91G60 65C05 65C30 62P05 60F05 91G05 91G70 PDFBibTeX XMLCite \textit{M. Klein}, Nested simulations: theory and application. Wiesbaden: Springer Spektrum; Augsburg: Univ. Augsburg (Diss. 2023) (2024; Zbl 1534.91006) Full Text: DOI
Cattaneo, Matias D. (ed.); Fan, Yingying (ed.); Li, Runze (ed.); Song, Rui (ed.) Data science in economics and finance: introduction. (English) Zbl 1531.01036 J. Econom. 239, No. 2, Article ID 105627, 6 p. (2024). MSC: 01A70 00B15 62-06 62P05 62P20 PDFBibTeX XMLCite \textit{M. D. Cattaneo} (ed.) et al., J. Econom. 239, No. 2, Article ID 105627, 6 p. (2024; Zbl 1531.01036) Full Text: DOI
Liu, Qing; Liu, Weimin; Peng, Liang; Qin, Gengsheng Uncertainty comparison between value-at-risk and expected shortfall. (English) Zbl 07812208 Commun. Math. Res. 40, No. 1, 102-124 (2024). MSC: 62P05 62E20 PDFBibTeX XMLCite \textit{Q. Liu} et al., Commun. Math. Res. 40, No. 1, 102--124 (2024; Zbl 07812208) Full Text: DOI
Fung, Tsz Chai; Jeong, Himchan; Tzougas, George Soft splicing model: bridging the gap between composite model and finite mixture model. (English) Zbl 1534.91118 Scand. Actuar. J. 2024, No. 2, 168-197 (2024). MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{T. C. Fung} et al., Scand. Actuar. J. 2024, No. 2, 168--197 (2024; Zbl 1534.91118) Full Text: DOI
Boutsikas, M. V.; Economides, D.-J.; Vaggelatou, E. On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model. (English) Zbl 1534.91110 Scand. Actuar. J. 2024, No. 1, 64-88 (2024). MSC: 91G05 91B05 60J74 62P05 PDFBibTeX XMLCite \textit{M. V. Boutsikas} et al., Scand. Actuar. J. 2024, No. 1, 64--88 (2024; Zbl 1534.91110) Full Text: DOI
Bladt, Martin; Furrer, Christian Expert Kaplan-Meier estimation. (English) Zbl 1534.91109 Scand. Actuar. J. 2024, No. 1, 1-27 (2024). MSC: 91G05 62P05 62N02 62G05 62G32 PDFBibTeX XMLCite \textit{M. Bladt} and \textit{C. Furrer}, Scand. Actuar. J. 2024, No. 1, 1--27 (2024; Zbl 1534.91109) Full Text: DOI arXiv
Zhang, Yaojun; Ji, Lanpeng; Aivaliotis, Georgios; Taylor, Charles Bayesian CART models for insurance claims frequency. (English) Zbl 1532.91110 Insur. Math. Econ. 114, 108-131 (2024). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Insur. Math. Econ. 114, 108--131 (2024; Zbl 1532.91110) Full Text: DOI arXiv OA License
Song, Yuping; Cai, Chunchun; Mao, Huijue; Zhu, Min Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models. (English) Zbl 1530.62033 Stat. Probab. Lett. 206, Article ID 110011, 6 p. (2024). MSC: 62P05 62F12 62G08 62M05 62M10 60J60 PDFBibTeX XMLCite \textit{Y. Song} et al., Stat. Probab. Lett. 206, Article ID 110011, 6 p. (2024; Zbl 1530.62033) Full Text: DOI
Ansari, Jonathan; Shushi, Tomer; Vanduffel, Steven Up- and down-correlations in normal variance mixture models. (English) Zbl 1533.91499 Stat. Probab. Lett. 205, Article ID 109949, 7 p. (2024). MSC: 91G70 62P05 62H05 PDFBibTeX XMLCite \textit{J. Ansari} et al., Stat. Probab. Lett. 205, Article ID 109949, 7 p. (2024; Zbl 1533.91499) Full Text: DOI OA License
Liu, Xijun; Gao, Qingwu; Dong, Zimai Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims. (English) Zbl 07803299 Stoch. Models 40, No. 1, 97-122 (2024). MSC: 62E20 62P05 91B30 PDFBibTeX XMLCite \textit{X. Liu} et al., Stoch. Models 40, No. 1, 97--122 (2024; Zbl 07803299) Full Text: DOI
Xuan, Hanwen; Maestrini, Luca; Chen, Feng; Grazian, Clara Stochastic variational inference for GARCH models. (English) Zbl 1529.62041 Stat. Comput. 34, No. 1, Paper No. 45, 26 p. (2024). MSC: 62-08 62M10 62F15 62P05 PDFBibTeX XMLCite \textit{H. Xuan} et al., Stat. Comput. 34, No. 1, Paper No. 45, 26 p. (2024; Zbl 1529.62041) Full Text: DOI arXiv
Liang, Wanwan; Wu, Ben; Zhang, Bo Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach. (English) Zbl 1529.62024 Stat. Comput. 34, No. 1, Paper No. 23, 15 p. (2024). MSC: 62-08 62P05 PDFBibTeX XMLCite \textit{W. Liang} et al., Stat. Comput. 34, No. 1, Paper No. 23, 15 p. (2024; Zbl 1529.62024) Full Text: DOI
Yang, Yang; Bian, Tongxin; Chen, Shaoying Tail behavior of discounted portfolio loss under upper tail comonotonicity. (English) Zbl 07799967 J. Ind. Manag. Optim. 20, No. 3, 1296-1317 (2024). MSC: 91G10 62P05 62G32 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 20, No. 3, 1296--1317 (2024; Zbl 07799967) Full Text: DOI
Joshi, Neeraj; Bapat, Sudeep R.; Sengupta, Raghu Nandan Estimation of fixed-accuracy confidence interval of the stress-strength reliability for inverse Pareto distribution using two-stage sampling technique. (English) Zbl 07798885 Sequential Anal. 43, No. 1, 79-102 (2024). MSC: 62F12 62L12 62L15 62P05 62P30 PDFBibTeX XMLCite \textit{N. Joshi} et al., Sequential Anal. 43, No. 1, 79--102 (2024; Zbl 07798885) Full Text: DOI
Vogl, Markus Chaos measure dynamics in a multifactor model for financial market predictions. (English) Zbl 1531.62051 Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107760, 22 p. (2024). MSC: 62P05 37D45 62G10 62M20 91B84 91G15 PDFBibTeX XMLCite \textit{M. Vogl}, Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107760, 22 p. (2024; Zbl 1531.62051) Full Text: DOI
Yang, Yang; Chen, Shaoying; Yuen, Kam Chuen Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance. (English) Zbl 07791016 Sci. China, Math. 67, No. 1, 163-186 (2024). MSC: 62P05 62E20 91B05 PDFBibTeX XMLCite \textit{Y. Yang} et al., Sci. China, Math. 67, No. 1, 163--186 (2024; Zbl 07791016) Full Text: DOI
Aknouche, Abdelhakim; Scotto, Manuel G. A multiplicative thinning-based integer-valued GARCH model. (English) Zbl 07786777 J. Time Ser. Anal. 45, No. 1, 4-26 (2024). MSC: 62Mxx 62M10 62M20 62F12 62P05 60G10 PDFBibTeX XMLCite \textit{A. Aknouche} and \textit{M. G. Scotto}, J. Time Ser. Anal. 45, No. 1, 4--26 (2024; Zbl 07786777) Full Text: DOI
Liu, Xijun; Gao, Qingwu Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments. (English) Zbl 07772216 Commun. Stat., Theory Methods 53, No. 2, 641-665 (2024). MSC: 62P05 62E20 60E05 PDFBibTeX XMLCite \textit{X. Liu} and \textit{Q. Gao}, Commun. Stat., Theory Methods 53, No. 2, 641--665 (2024; Zbl 07772216) Full Text: DOI
Mehrdoust, Farshid; Noorani, Idin; Kanniainen, Juho Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market. (English) Zbl 1540.91073 Math. Comput. Simul. 215, 228-269 (2024). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{F. Mehrdoust} et al., Math. Comput. Simul. 215, 228--269 (2024; Zbl 1540.91073) Full Text: DOI
Tapiero, Charles S.; Tapiero, Oren J. Financial data and artificial intelligence. Volume I. An introduction to computational statistics, networks, algorithms, multivariate probability systems, and Bayesian and Kalman-filtering analysis (to appear). (English) Zbl 07374766 Cham: Palgrave Macmillan/Palgrave Pivot (ISBN 978-3-030-75042-8/hbk; 978-3-030-75043-5/ebook). xxiii, 421 p. (2024). MSC: 62-01 62P05 62-08 68T05 91G70 PDFBibTeX XMLCite \textit{C. S. Tapiero} and \textit{O. J. Tapiero}, Financial data and artificial intelligence. Volume I. An introduction to computational statistics, networks, algorithms, multivariate probability systems, and Bayesian and Kalman-filtering analysis (to appear). Cham: Palgrave Macmillan/Palgrave Pivot (2024; Zbl 07374766)